Articles liés à Contagion Phenomena With Applications in Finance

Contagion Phenomena With Applications in Finance - Couverture rigide

Darolles, Serge; Gourieroux, Christian

 
9781785480355: Contagion Phenomena With Applications in Finance
Couverture rigide
ISBN 10 : 1785480359 ISBN 13 : 9781785480355
Editeur : ISTE Press Ltd - Elsevier Inc, 2015

Synopsis

Much research into financial contagion and systematic risks has been motivated by the finding that cross-market correlations (resp. coexceedances) between asset returns increase significantly during crisis periods. Is this increase due to an exogenous shock common to all markets (interdependence) or due to certain types of transmission of shocks between markets (contagion)? Darolles and Gourieroux explain that an attempt to convey contagion and causality in a static framework can be flawed due to identification problems; they provide a more precise definition of the notion of shock to strengthen the solution within a dynamic framework. This book covers the standard practice for defining shocks in SVAR models, impulse response functions, identitification issues, static and dynamic models, leading to the challenges of measurement of systematic risk and contagion, with interpretations of hedge fund survival and market liquidity risks

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À propos des auteurs

Serge Darolles is Professor of Finance at Paris–Dauphine University in France, and member of the Quantitative Management Initiative (QMI) scientific committee. His research interests include financial econometrics, liquidity and hedge fund analysis. He has written numerous articles, which have been published in academic journals.

Christian Gourieroux is Professor at the University of Toronto in Canada, and Chair of the Finance Laboratory at the Center for Research in Economics and Statistics (CREST) in Paris.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
ISTE Press Ltd - Elsevier Inc
Date d'édition
2015
Langue
anglais
ISBN 10 
1785480359
ISBN 13 
9781785480355
Reliure
Relié
Nombre de pages
166
Coordonnées du fabricant
non disponible
Personne responsable
Barbara Criscuolo
b.criscuolo@lswr.it

Via Spadolini, 7
Milano
20141
Italie